Robust Portfolio Optimization and Management (3 chapters)
As the use of predictive models and optimization techniques have become widespread among portfolio managers, the issue of the confidence practitioners can have in theoretical models has grown in importance. Consequently, there has been an increased level of interest in the subject of robust estimation of parameters and robust optimization of portfolio management models. For years, robustness has been a crucial ingredient in engineering. This book brings together new developments from the theory of learning, robust statistics and estimation, and robust optimization, illustrates that they are part of the same conceptual and practical environment, and presents them in a new context in a way that finance practitioners can understand and appreciate.
Finance and Financial Management | Portfolio and Security Analysis
Pachamanova, Dessislava; Fabozzi, Frank; Focardi, Sergio; and Kolm, Petter, "Robust Portfolio Optimization and Management (3 chapters)" (2007). Babson Faculty Research Fund Working Papers. 10.